Citation

Aridi, Nor Azliana and Didi Indra, R Fairuz Indra (2026) Leverage Effect and VaR Estimation of Listed Manufacturing Companies in Malaysia During Digital Transformation. In: 17th International Conference on E-Education, E-Business, E-Management and E-Learning, IC4e 2026, 1 April 2026 - 4 April 2026, Fukuoka.

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Abstract

The National 4IR Policy launched by Malaysian government in 2018 has impacted Malaysia in many areas including substantial technological innovations which rise opportunities and challenges across industries including manufacturing industry. Manufacturing sector and finance are among the ten key focus sectors in the policy which expected to create new socioeconomic growth as well as opportunities for the Malaysian economy. The rapid progress of digital transformation technologies under the Fourth Industrial Revolution (IR4.0) has impacted financial markets worldwide, including Malaysia. Studying risk analysis during this period is necessary to find accurate risk models during market uncertainties created by the technological changes that may affect market stability. This paper applies risk analysis study on 8 listed manufacturing companies in the FTSE Index for both periods pre- and post-digital transformation implementation. The sample data involved analysis of daily closing stock prices by using two commonly used risk models, GARCH (1,1) and EGARCH (1,1) models. In insample analysis, the existence of leverage effects was detected from the parameter estimates and the value-at-risk (VaR) was measured. The accuracy of the risk models was checked by using the violation ratio and Kupiec’s likelihood ratio test. The result of the analysis of most of the manufacturing companies shows that leverage effects became more impactful in the post digital transformation period, indicating a stronger reaction from the market to negative information. Investors’ awareness of risk incurred from the digital transformation technology implementation increased significantly.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	Leverage Effect, Value-at-risk, Violation Ratio, Digital Transformation
Subjects:	H Social Sciences > HF Commerce > HF5001-6182 Business > HF5410-5417.5 Marketing. Distribution of products
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Rosnani Abd Wahab
Date Deposited:	05 Oct 2026 02:01
Last Modified:	05 Oct 2026 02:01
URII:	http://shdl.mmu.edu.my/id/eprint/16856

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